Econometric and Financial Statistics
Code
10813
Academic unit
Faculdade de Ciências e Tecnologia
Department
Departamento de Matemática
Credits
6.0
Teacher in charge
Pedro José dos Santos Palhinhas Mota
Weekly hours
4
Total hours
68
Teaching language
Português
Objectives
This curricular unit provides mathematical and econometric statistics tools that allow the treatment of financial models, considering continuous time or discrete time, in order to obtain results regarding the relationship between different variables, in particular income and volatility, and as to causality and prediction. Also analyzed are possible regime changes, such as "stability" versus "crisis" situation or the switch between bull and bear.
Prerequisites
Knowledge of Probability and Statistics, Stochastic Processes, Mathematical Analysis and Algebra.
Subject matter
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Statistical-Econometric fundamentals
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Univariate and multivariate models
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Non-stationarity and cointegration
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Income and volatility
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Causality and Forecasting
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Propagation of shocks
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Factors Models
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Poisson Process Statistics
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Markov Chain Statistics
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Diffusion Models Statistics
Bibliography
- Brockwell, P.J. and Davis, R.A., Time Series: theory and methods. Springer, 1991.
- Brooks, C., Introductory Econometrics for Finance, Cambridge University Press, 2008.
- Campbell, J., Lo, A. and MacKinlay, A., The Econometrics of Financial Markets, Princeton University, 1997.
- Durret, R., Essential of Stochastic Processes. Springer, 2012.
- Prakasa Rao, B.L.S., Statistical Inference for Diffusion Type Processes. Arnold, London and Oxford University press, New York, 1999.
Teaching method
Classes work in a practical theoretical regime.
In the classes the theoretical concepts are exposed, some demonstrations are carried out simultaneously illustrating their application through examples and exercises.
A substantial part of the study is done in the student''''s autonomy, with the aid of notes and other bibliographical supports, and with the support of teachers to clarify doubts at pre-established times.
Evaluation method
The evaluation is carried out through the accomplishment of individual works delivered on the form of written report, with presentation and discussion in class.